Stochastic Limit Theory: An Introduction for Econometricians (Advanced Texts in Econometrics) - Hardcover

Davidson, James

Hardcover

ISBN 10: 0198774028 ISBN 13: 9780198774020

Publisher: Oxford University Press, 1994

Synopsis

A handbook and reference for academic econometricians and advanced graduate students. The book provides a coherent account of recent contributions to limit theory, with particular emphasis on the issues of date dependence and heterogeneity. It also provides a grounding in the requisite mathematics and probability theory, which will allow readers with limited mathematical training to make use of the material.

About this title

Review

The book is clearly written with plenty of explanation in the text as well as the liberal use of well chosen examples ... in a short book every econometrician shoudl have on their shelves. (The Economic Journal)

He provides us with a very complete book that presents all the recent mainstream results used by econometricians in the asymptotic analysis of test statistics based on time series ... Professor Davidson's book will be very useful for all the people who are looking for a detailed introduction to stochastic limit theorems as it collects almost all the mathematical notions on which relies the today classical framework used to derive these asymptotic results ... impressive work done by Professor Davidson. He provides us with a remarkable book. Properly used, it will become a reference course text. And similarly, researchers will be pleased to have it at hand on their shelves to find rapidly references, definitions or proof technics. (Economic Theory)

It is no mean achievement to combine articulately the mathematics, probability, and statistics backgrounds ... into a unified framework capable of dealing with the nonlinearities and nonstationarities commonly found in econometrics. The book is clearly written with plenty of explanation in the text as well as the liberal use of well chosen examples ... a book every econometrician should have on their shelves. (The Economic Journal)

About the Author

James Davidson is at University of Wales, Aberystwyth.

Edition details

• Publisher: Oxford University Press
• Publication date: 1994
• Language: English
• ISBN 10: 0198774028
• ISBN 13: 9780198774020
• Binding: Hardcover
• Number of pages: 561